first, the immortal part was always flawed given that thor is destined to die in Ragnarök after killing Jörmungandr via Jörmungandr's poison.
second, slenderman counts as a superbeing as well given that he's a manifestation of demonic energy: Noun:

superbeing (plural superbeings) A human being or other living entity with enhanced abilities beyond those of a normal or real being of the same kind, such as: comic books: a superhero or supervillain fantasy: a mage, sorcerer, witch or wizard fiction: a superhuman or non-human being (animal, monster or plant) mythology, religion: an angel, deity, demigod, demon or hero
thats why i said it depends on if thor would be immune to mind control or not. if thor can be mind controlled all slenderman would have to do is make him get bit by Jörmungandr.